There's no way to test hyperlinks in an email you're composing without carefully selecting the whole URL, copying, switching to a browser, pasting, hitting return -- quite a bother if you're writing a newsletter, for example, with lots of links.

But there's a simple solution: Save your email as a draft with Command-S, then look at the email in the drafts folder of the Message Viewer window. In that view, all links are highlighted and clickable.

Have you tried right-clicking the unselected URL? In Snow Leopard, anyway, as long as you've first embedded a link in the text, Mail selects the whole link and offers to copy, open, or download it via the contextual menu.

Another solution while composing. Hit command K. Type, paste, or drag your link into the text box. Hit return. Now you have a clickable link in the email you are composing. A link which you can test by clicking.

If you use Add Link via command-k, right-click or the edit menu, links are immediately clickable in the composition window. But this is a good hint for times when you're copying blocks of text containing lots of links.

On my mac, Command-K is the keyboard shortcut to erase all deleted messages (i.e., the Mail equivalent of emptying the trash), and has always been. There is no shortcut associated with "Add Link...". So, be careful not to just say "hit cmd-k, etc"...

Also, the use of the Add Link command forces one to use rich text, rather than plain text. If, as I do, one prefers plain text, not only the add link command doesn't work; the other suggestion to just control-clik and select "Open Link" also does not work, because the option is not there in the contextual menu (presumably because the text is not being recognized as a link).

There is, nevertheless, a service, buried under the Service contextual submenu, and called "Open URL", that does it. Adding a keyboard shortcut for it, one can do this with ease. But the original hint is better when there are more than just one or two links to check, imho.